Contact information of arXiv.org
Corrections
All material on this site has been provided by the respective publishers and authors. You can help
correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Content
2015
- 1512.06582 Asymptotic pricing in large financial markets
by Micha{l} Barski
- 1512.06486 How much diversification potential is there in a single market? Evidence from the Australian Stock Exchange
by Libin Yang & William Rea & Alethea Rea
- 1512.06454 Consistent Re-Calibration of the Discrete-Time Multifactor Vasi\v{c}ek Model
by Philipp Harms & David Stefanovits & Josef Teichmann & Mario V. Wuthrich
- 1512.06449 Optimal decision for the market graph identification problem in sign similarity network
by V. A. Kalyagin & P. A. Koldanov & P. M. Pardalos
- 1512.06309 Unified Growth Theory Contradicted by the Economic Growth in the Former USSR
by Ron W Nielsen
- 1512.06295 Optimization problem for a portfolio with an illiquid asset: Lie group analysis
by Ljudmila A. Bordag & Ivan P. Yamshchikov
- 1512.06290 On the Non-Asymptotic Properties of Regularized M-estimators
by Demian Pouzo
- 1512.06247 Which measure for PFE? The Risk Appetite Measure, A
by Chris Kenyon & Andrew Green & Mourad Berrahoui
- 1512.06228 Using machine learning for medium frequency derivative portfolio trading
by Abhijit Sharang & Chetan Rao
- 1512.06159 Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data
by Richard Y. Chen & Per A. Mykland
- 1512.06151 Symmetry reduction and exact solutions of the non-linear Black--Scholes equation
by Oleksii Patsiuk & Sergii Kovalenko
- 1512.05983 Approximation of forward curve models in commodity markets with arbitrage-free finite dimensional models
by Fred Espen Benth & Paul Kruhner
- 1512.05924 Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability
by Masaaki Fujii & Akihiko Takahashi
- 1512.05635 The Sorted Effects Method: Discovering Heterogeneous Effects Beyond Their Averages
by Victor Chernozhukov & Ivan Fernandez-Val & Ye Luo
- 1512.05377 Calibration and simulation of arbitrage effects in a non-equilibrium quantum Black-Scholes model by using semiclassical methods
by Mauricio Contreras & Rely Pellicer & Daniel Santiagos & Marcelo Villena
- 1512.05343 European Union gas market development
by Tobias Baltensperger & Rudolf M. Fuchslin & Pius Krutli & John Lygeros
- 1512.05321 Forward rate models with linear volatilities
by Micha{l} Barski & Jerzy Zabczyk
- 1512.05074 Unified Growth Theory Contradicted by the Economic Growth in Asia
by Ron W Nielsen
- 1512.05066 Analyses of Aggregate Fluctuations of Firm Network Based on the Self-Organized Criticality Model
by Hiroyasu Inoue
- 1512.05015 Optimal Control of Conditional Value-at-Risk in Continuous Time
by Christopher W. Miller & Insoon Yang
- 1512.04916 Deep Learning Stock Volatility with Google Domestic Trends
by Ruoxuan Xiong & Eric P. Nichols & Yuan Shen
- 1512.04741 The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew
by Damiano Brigo & Camilla Pisani & Francesco Rapisarda
- 1512.04716 Edgeworth expansion for the pre-averaging estimator
by Mark Podolskij & Bezirgen Veliyev & Nakahiro Yoshida
- 1512.04714 Heath-Jarrow-Morton-Musiela equation with L\'evy perturbation
by Micha{l} Barski & Jerzy Zabczyk
- 1512.04637 Graphical Exchange Mechanisms
by Pradeep Dubey & Siddhartha Sahi & Martin Shubik
- 1512.04583 Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations
by Yusong Li & Harry Zheng
- 1512.04460 Distress propagation in complex networks: the case of non-linear DebtRank
by Marco Bardoscia & Fabio Caccioli & Juan Ignacio Perotti & Gianna Vivaldo & Guido Caldarelli
- 1512.03963 Incompleteness of the bond market with L\'evy noise under the physical measure
by Micha{l} Barski
- 1512.03896 A generalized intensity based framework for single-name credit risk
by Frank Gehmlich & Thorsten Schmidt
- 1512.03743 Do investors trade too much? A laboratory experiment
by Joao da Gama Batista & Domenico Massaro & Jean-Philippe Bouchaud & Damien Challet & Cars Hommes
- 1512.03677 Option pricing in affine generalized Merton models
by Christian Bayer & John Schoenmakers
- 1512.03641 Time-consistency of cash-subadditive risk measures
by Elisa Mastrogiacomo & Emanuela Rosazza Gianin
- 1512.03618 Macroeconomic Dynamics of Assets, Leverage and Trust
by Jeroen Rozendaal & Yannick Malevergne & Didier Sornette
- 1512.03537 Identifying Highly Correlated Stocks Using the Last Few Principal Components
by Libin Yang & William Rea & and Alethea Rea
- 1512.03492 Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book
by Martin D. Gould & Julius Bonart
- 1512.03292 Time-inhomogeneous affine processes and affine market models
by Stefan Waldenberger
- 1512.03259 Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model
by Zorana Grbac & Laura Meneghello & Wolfgang J. Runggaldier
- 1512.03173 Monotonicity of the collateralized debt obligations term structure model
by Micha{l} Barski
- 1512.03164 Unified Growth Theory Contradicted by the Economic Growth in Africa
by Ron W Nielsen
- 1512.02912 The role of money and the financial sector in energy-economy models used for assessing climate policy
by H. Pollitt & J. -F. Mercure
- 1512.02859 The network structure of city-firm relations
by Antonios Garas & Celine Rozenblat & Frank Schweitzer
- 1512.02529 High-order ADI scheme for option pricing in stochastic volatility models
by Bertram During & James Miles
- 1512.02478 Variations on an example of Karatzas and Ruf
by Robert Fernholz
- 1512.02454 The double role of GDP in shaping the structure of the International Trade Network
by Assaf Almog & Tiziano Squartini & Diego Garlaschelli
- 1512.02317 Money as Minimal Complexity
by Pradeep Dubey & Siddhartha Sahi & Martin Shubik
- 1512.02310 Sparse Mean-Variance Portfolios: A Penalized Utility Approach
by David Puelz & P. Richard Hahn & Carlos M. Carvalho
- 1512.02233 The hidden hyperbolic geometry of international trade: World Trade Atlas 1870-2013
by Guillermo Garc'ia-P'erez & Mari'an Bogu~n'a & Antoine Allard & M. 'Angeles Serrano
- 1512.01916 An asymmetric ARCH model and the non-stationarity of Clustering and Leverage effects
by Xin Li & Carlos F. Tolmasky
- 1512.01905 A Comparision of Three Network Portfolio Selection Methods -- Evidence from the Dow Jones
by Hannah Cheng Juan Zhan & William Rea & Alethea Rea
- 1512.01806 Generalized asset pricing: Expected Downside Risk-Based Equilibrium Modelling
by Mihaly Ormos & Dusan Timotity
- 1512.01758 Financial market models in discrete time beyond the concave case
by Mario Sikic
- 1512.01742 Oil price shocks, road transport pollution emissions and residents' health losses in China
by Sheng Yang & Ling-Yun He
- 1512.01698 Purely pathwise probability-free Ito integral
by Vladimir Vovk
- 1512.01676 Forecasting crude oil market volatility: can the Regime Switching GARCH model beat the single-regime GARCH models?
by Yue-Jun Zhang & Ting Yao & Ling-Yun He
- 1512.01626 Optimal environmental tax swaps and double dividend hypothesis
by Su-Mei Chen & Ling-Yun He
- 1512.01527 FX Options in Target Zone
by Peter Carr & Zura Kakushadze
- 1512.01488 Arbitrage and Hedging in model-independent markets with frictions
by Matteo Burzoni
- 1512.01267 Key drivers of EU budget allocation: Does power matter?
by Vera Zaporozhets & Mar'ia Garc'ia-Vali~nas & Sascha Kurz
- 1512.01230 A Theory of Individualism, Collectivism and Economic Outcomes
by Kartik Ahuja & Mihaela van der Schaar & William R. Zame
- 1512.00227 A Framework for Analyzing Stochastic Jumps in Finance based on Belief and Knowledge
by Takanori Adachi
- 1511.09323 Unified Growth Theory Contradicted by the GDP/cap Data
by Ron W Nielsen
- 1511.09203 Statistical mechanics of complex economies
by Marco Bardoscia & Giacomo Livan & Matteo Marsili
- 1511.09054 It's a Trap: Emperor Palpatine's Poison Pill
by Zachary Feinstein
- 1511.09041 Game options in an imperfect market with default
by Roxana Dumitrescu & Marie-Claire Quenez & Agn`es Sulem
- 1511.08997 Realized Volatility Analysis in A Spin Model of Financial Markets
by Tetsuya Takaishi
- 1511.08830 Disentangling bipartite and core-periphery structure in financial networks
by Paolo Barucca & Fabrizio Lillo
- 1511.08718 Full and fast calibration of the Heston stochastic volatility model
by Yiran Cui & Sebastian del Ba~no Rollin & Guido Germano
- 1511.08666 Singular Problems for Integro-Differential Equations in Dynamic Insurance Models
by Tatiana Belkina & Nadezhda Konyukhova & Sergey Kurochkin
- 1511.08622 Complex economies have a lateral escape from the poverty trap
by Emanuele Pugliese & Guido L. Chiarotti & Andrea Zaccaria & Luciano Pietronero
- 1511.08591 On Game-Theoretic Risk Management (Part Two) -- Algorithms to Compute Nash-Equilibria in Games with Distributions as Payoffs
by Stefan Rass
- 1511.08466 Approximate Option Pricing in the L\'evy Libor Model
by Zorana Grbac & David Krief & Peter Tankov
- 1511.08449 Water Stress on U.S. Power Production at Decadal Time Horizons
by Poulomi Ganguli & Devashish Kumar & Auroop R. Ganguly
- 1511.08409 Optimal Real-Time Bidding Strategies
by Joaquin Fernandez-Tapia & Olivier Gu'eant & Jean-Michel Lasry
- 1511.08349 On the Existence of Martingale Measures in Jump Diffusion Market Models
by Jacopo Mancin & Wolfgang J. Runggaldier
- 1511.08194 Integration with respect to model-free price paths with jumps
by Rafa{l} M. {L}ochowski
- 1511.08068 The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market
by Paolo Barucca & Fabrizio Lillo
- 1511.07945 An Application of Correlation Clustering to Portfolio Diversification
by Hannah Cheng Juan Zhan & William Rea & Alethea Rea
- 1511.07821 Box-Cox transformation of firm size data in statistical analysis
by Ting Ting Chen & Tetsuya Takaishi
- 1511.07773 The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms
by Jean-David Fermanian & Olivier Gu'eant & Jiang Pu
- 1511.07419 Sustainability in the Stochastic Ramsey Model
by Rabi Bhattacharya & Hyeonju Kim & Mukul Majumdar
- 1511.07359 Optimal Trading with Linear and (small) Non-Linear Costs
by A. Rej & R. Benichou & J. de Lataillade & G. Z'erah & J. -Ph. Bouchaud
- 1511.07230 Some Results on Skorokhod Embedding and Robust Hedging with Local Time
by Julien Claisse & Gaoyue Guo & Pierre Henry-Labordere
- 1511.07203 Some Dynamic Market Models
by Jan A. Audestad
- 1511.07101 Risk-return relationship: An empirical study of different statistical methods for estimating the Capital Asset Pricing Models (CAPM) and the Fama-French model for large cap stocks
by Linh Nghiem
- 1511.06992 Early Warning Signs of the Economic Crisis in Greece: A Warning for Other Countries and Regions
by Ron W Nielsen
- 1511.06943 A composition between risk and deviation measures
by Marcelo Brutti Righi
- 1511.06873 Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach
by Federico Musciotto & Luca Marotta & Salvatore Miccich`e & Jyrki Piilo & Rosario N. Mantegna
- 1511.06870 Backbone of credit relationships in the Japanese credit market
by Luca Marotta & Salvatore Miccich`e & Yoshi Fujiwara & Hiroshi Iyetomi & Hideaki Aoyama & Mauro Gallegati & Rosario N. Mantegna
- 1511.06734 A Generalized Probability Framework to Model Economic Agents' Decisions Under Uncertainty
by Emmanuel Haven & Sandro Sozzo
- 1511.06454 A simple framework for the axiomatization of exponential and quasi-hyperbolic discounting
by Nina Anchugina
- 1511.06320 Intragroup transfers, intragroup diversification and their risk assessment
by Andreas Haier & Ilya Molchanov & Michael Schmutz
- 1511.06032 The Entropic Measure Transform
by Renjie Wang & Cody Hyndman & Anastasis Kratsios
- 1511.05948 Least squares estimation for the subcritical Heston model based on continuous time observations
by Matyas Barczy & Balazs Nyul & Gyula Pap
- 1511.05661 Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations
by Karol Duris & Shih-Hau Tan & Choi-Hong Lai & Daniel Sevcovic
- 1511.05465 The F\"ollmer-Schweizer decomposition under incomplete information
by Claudia Ceci & Katia Colaneri & Alessandra Cretarola
- 1511.05404 Prediction in complex systems: the case of the international trade network
by Alexandre Vidmer & An Zeng & Mat'uv{s} Medo & Yi-Cheng Zhang
- 1511.05303 An invitation to coupling and copulas: with applications to multisensory modeling
by Hans Colonius
- 1511.04950 Pricing Two-asset Options under Exponential L\'evy Model Using a Finite Element Method
by Xun Li & Ping Lin & Xue-Cheng Tai & Jinghui Zhou
- 1511.04935 Scenario generation for single-period portfolio selection problems with tail risk measures: coping with high dimensions and integer variables
by Jamie Fairbrother & Amanda Turner & Stein Wallace
- 1511.04863 Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE
by Gechun Liang & Thaleia Zariphopoulou
- 1511.04768 Optimal Investment with Transaction Costs under Cumulative Prospect Theory in Discrete Time
by Bin Zou & Rudi Zagst
- 1511.04764 Shrinkage = Factor Model
by Zura Kakushadze
- 1511.04314 Financial Models with Defaultable Num\'eraires
by Travis Fisher & Sergio Pulido & Johannes Ruf
- 1511.04218 Equilibrium pricing under relative performance concerns
by Jana Bielagk & Arnaud Lionnet & Goncalo Dos Reis
- 1511.04116 Latency and liquidity provision in a limit order book
by Julius Bonart & Martin Gould
- 1511.04096 A Stochastic Model of Order Book Dynamics using Bouncing Geometric Brownian Motions
by Xin Liu & Qi Gong & Vidyadhar G. Kulkarni
- 1511.03977 Adaptive estimation for some nonparametric instrumental variable models
by Fabian Dunker
- 1511.03876 On the aggregation of experts' information in Bonus-Malus systems
by V'ictor Blanco & Jos'e M. P'erez-S'anchez
- 1511.03863 Preemptive Investment under Uncertainty
by Jan-Henrik Steg
- 1511.03777 Deleveraging, short sale constraints and market crash
by Liang Wu & Lei Zhang & Zhiming Fu
- 1511.03744 Sensitivity Analysis of Long-Term Cash Flows
by Hyungbin Park
- 1511.03732 Instability and Information
by Felix Patzelt
- 1511.03704 Foundations for Wash Sales
by Phillip G. Bradford
- 1511.03616 Moral hazard under ambiguity
by Thibaut Mastrolia & Dylan Possamai
- 1511.03159 On the C-property and $w^*$-representations of risk measures
by Niushan Gao & Foivos Xanthos
- 1511.02934 Capital allocation and risk appetite under Solvency II framework
by Ivan Granito & Paolo De Angelis
- 1511.02716 Nash equilibria for non zero-sum ergodic stochastic differential games
by Samuel N. Cohen & Victor Fedyashov
- 1511.02229 Wage gap between men and women in Tunisia
by Hela Jeddi & Dhafer Malouche
- 1511.02046 Modeling Market Inefficiencies within a Single Instrument
by Kuang-Ting Chen
- 1511.01965 Sequential Detection of Market shocks using Risk-averse Agent Based Models
by Vikram Krishnamurthy & Sujay Bhatt
- 1511.01824 Positive skewness, anti-leverage, reverse volatility asymmetry, and short sale constraints: Evidence from the Chinese markets
by Liang Wu & Jingyi Luo & Yingkai Tang & Gregory Bardes
- 1511.01763 On real growth and run-off companies in insurance ruin theory
by Harri Nyrhinen
- 1511.01707 Getting Started with Particle Metropolis-Hastings for Inference in Nonlinear Dynamical Models
by Johan Dahlin & Thomas B. Schon
- 1511.01564 Pricing Parisian down-and-in options
by Song-Ping Zhu & Nhat-Tan Le & Wen-Ting Chen & Xiaoping Lu
- 1511.01529 A Dynamic Model of Functioning of a Bank
by Oleg Malafeyev & Achal Awasthi
- 1511.01460 LSV models with stochastic interest rates and correlated jumps
by Andrey Itkin
- 1511.01453 Estimating the effect of treatments allocated by randomized waiting lists
by Clement de Chaisemartin & Luc Behaghel
- 1511.01395 On Origins of Alpha
by Zura Kakushadze
- 1511.01207 Trajectory based models. Evaluation of minmax pricing bounds
by Ivan Degano & Sebastian Ferrando & Alfredo Gonzalez
- 1511.00884 Magic points in finance: Empirical integration for parametric option pricing
by Maximilian Ga{ss} & Kathrin Glau & Maximilian Mair
- 1511.00848 A backward Monte Carlo approach to exotic option pricing
by Giacomo Bormetti & Giorgia Callegaro & Giulia Livieri & Andrea Pallavicini
- 1511.00740 Learning Unfair Trading: a Market Manipulation Analysis From the Reinforcement Learning Perspective
by Enrique Mart'inez-Miranda & Peter McBurney & Matthew J. Howard
- 1511.00483 With string model to time series forecasting
by Richard Pinv{c}'ak & Erik Bartov{s}
- 1511.00468 Real Options and Threshold Strategies
by Vadim Arkin & Alexander Slastnikov
- 1511.00140 Conditional Value-at-Risk: Theory and Applications
by Jakob Kisiala
- 1511.00065 A New Class of Problems in the Calculus of Variations
by Ivar Ekeland & Yiming Long & Qinglong Zhou
- 1511.00026 Pathwise no-arbitrage in a class of Delta hedging strategies
by Alexander Schied & Iryna Voloshchenko
- 1510.09110 Optimal Portfolio Liquidation and Dynamic Mean-variance Criterion
by Jia-Wen Gu & Mogens Steffensen
- 1510.08615 Gold, currencies and market efficiency
by Ladislav Kristoufek & Miloslav Vosvrda
- 1510.08578 My Reflections on the First Man vs. Machine No-Limit Texas Hold 'em Competition
by Sam Ganzfried
- 1510.08439 Stochastic control for a class of nonlinear kernels and applications
by Dylan Possamai & Xiaolu Tan & Chao Zhou
- 1510.08335 A Stochastic Electricity Market Clearing Formulation with Consistent Pricing Properties
by Victor M. Zavala & Kibaek Kim & Mihai Anitescu & John Birge
- 1510.08285 Computer-Suported Risk Identification for the Holistic Management of Risks
by Jochen L. Leidner
- 1510.08162 "Speculative Influence Network" during financial bubbles: application to Chinese Stock Markets
by Li Lin & Didier Sornette
- 1510.08161 Asian option as a fixed-point
by Adriana Ocejo
- 1510.08103 From Acquaintances to Friends: Homophily and Learning in Networks
by Mihaela van der Schaar & Simpson Zhang
- 1510.07928 The Insecure Future of the World Economic Growth
by Ron W Nielsen
- 1510.07927 Emergence of Cooperative Long-term Market Loyalty in Double Auction Markets
by Aleksandra Aloric & Peter Sollich & Peter McBurney & Tobias Galla
- 1510.07888 Exchanging Goods Using Valuable Money
by J. V. Howard
- 1510.07608 Modern Monetary Circuit Theory, Stability of Interconnected Banking Network, and Balance Sheet Optimization for Individual Banks
by Alexander Lipton
- 1510.07599 An empirical analysis of the relationships between crude oil, gold and stock markets
by Semei Coronado & Rebeca Jim'enez-Rodr'iguez & Omar Rojas
- 1510.07280 Uncovering the evolution of non-stationary stochastic variables: the example of asset volume-price fluctuations
by Paulo Rocha & Frank Raischel & Jo~ao P. Boto & Pedro G. Lind
- 1510.07221 Pricing of high-dimensional options
by Alexander Kushpel
- 1510.07199 Coherent CVA and FVA with Liability Side Pricing of Derivatives
by Wujiang Lou
- 1510.07111 Dynamic programming approach to principal-agent problems
by Jakv{s}a Cvitani'c & Dylan Possamai & Nizar Touzi
- 1510.07033 Liquidity, risk measures, and concentration of measure
by Daniel Lacker
- 1510.07030 Law invariant risk measures and information divergences
by Daniel Lacker
- 1510.06946 Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables
by Jozef Barun'ik & Tobias Kley
- 1510.06813 Analysis of Markovian Competitive Situations using Nonatomic Games
by Jian Yang
- 1510.06812 Game-theoretic Modeling of Players' Ambiguities on External Factors
by Jian Yang
- 1510.06809 A Link between Sequential Semi-anonymous Nonatomic Games and their Large Finite Counterparts
by Jian Yang
- 1510.06337 Mathematics of Predicting Growth
by Ron W Nielsen
- 1510.05875 An elementary approach to the option pricing problem
by Nikolaos Halidias
- 1510.05858 A martingale representation theorem and valuation of defaultable securities
by Tahir Choulli & Catherine Daveloose & Mich`ele Vanmaele
- 1510.05854 Estimating the Impact of Wind Generation in the UK
by Lisa MH Hall & Alastair Buckley & Jose Mawyin
- 1510.05790 Risk management under Omega measure
by Michael R. Metel & Traian A. Pirvu & Julian Wong
- 1510.05698 Basic industrial funds of cargo motor transport enterprises: problems of effective use
by Oleksandr Vashkiv
- 1510.05561 A Supermartingale Relation for Multivariate Risk Measures
by Zachary Feinstein & Birgit Rudloff
- 1510.05510 Mathematical Foundations of Realtime Equity Trading. Liquidity Deficit and Market Dynamics. Automated Trading Machines
by Vladislav Gennadievich Malyshkin & Ray Bakhramov
- 1510.05123 Optimal growth trajectories with finite carrying capacity
by Francesco Caravelli & Lorenzo Sindoni & Fabio Caccioli & Cozmin Ududec
- 1510.05118 Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series
by Matteo Barigozzi & Marc Hallin
- 1510.05115 Multifractal Flexibly Detrended Fluctuation Analysis
by Rafal Rak & Pawel Zik{e}ba
- 1510.05097 Optimal Rebalancing Frequencies for Multidimensional Portfolios
by Ibrahim Ekren & Ren Liu & Johannes Muhle-Karbe
- 1510.04967 A simple agent-based spatial model of the economy: tools for policy
by Bernardo Alves Furtado & Isaque Daniel Rocha Eberhardt
- 1510.04943 Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error
by Fabio Caccioli & Imre Kondor & G'abor Papp
- 1510.04924 Optimal Investment in a Dual Risk Model
by Arash Fahim & Lingjiong Zhu
- 1510.04910 Detrended cross-correlations between returns, volatility, trading activity, and volume traded for the stock market companies
by Rafal Rak & Stanislaw Drozdz & Jaroslaw Kwapien & Pawel Oswiecimka
- 1510.04899 Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions
by Andrey Itkin
- 1510.04841 How to (Not) Estimate Gini Coefficients for Fat Tailed Variables
by Nassim Nicholas Taleb
- 1510.04690 On Capturing the Spreading Dynamics over Trading Prices in the Market
by Hokky Situngkir
- 1510.04588 Application of Stochastic Mesh Method to Efficient Approximation of CVA
by Yusuke Morimoto
- 1510.04550 Dynamics and Stability in Retail Competition
by Marcelo J. Villena & Axel A. Araneda
- 1510.04370 Extending the Black-Scholes Option Pricing Theory to Account for an Option Market Maker's Funding Costs
by Wujiang Lou
- 1510.04346 Explicit solutions to a vector time series model and its induced model for business cycles
by Xiongzhi Chen
- 1510.04315 Deriving Priorities From Inconsistent PCM using the Network Algorithms
by Marcin Anholcer & Janos Fulop
- 1510.04295 Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach
by Jiatu Cai & Mathieu Rosenbaum & Peter Tankov
- 1510.04061 Affine representations of fractional processes with applications in mathematical finance
by Philipp Harms & David Stefanovits
- 1510.03928 Weakly chained matrices, policy iteration, and impulse control
by Parsiad Azimzadeh & Peter A. Forsyth
- 1510.03926 On the Efficient Market Hypothesis of Stock Market Indexes: The Role of Non-synchronous Trading and Portfolio Effects
by Roberto Ortiz & Mauricio Contreras & Marcelo Villena
- 1510.03920 A State-Dependent Dual Risk Model
by Lingjiong Zhu
- 1510.03704 Is the Indian Stock Market efficient - A comprehensive study of Bombay Stock Exchange Indices
by Achal Awasthi & Oleg Malafeyev
- 1510.03596 Performance analysis of the optimal strategy under partial information
by Ahmed Bel Hadj Ayed & Gr'egoire Loeper & Sofiene El Aoud & Fr'ed'eric Abergel
- 1510.03590 Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation
by Ahmed Kebaier & J'er^ome Lelong
- 1510.03584 Viscosity properties with singularities in a state-constrained expected utility maximization problem
by Mourad Lazgham
- 1510.03550 Why Indexing Works
by J. B. Heaton & N. G. Polson & J. H. Witte
- 1510.03398 The Corporate Social Responsibility is just a twist in a M\"obius Strip
by Nazaria Solferino & Viviana Solferino
- 1510.03385 Optimal ETF Selection for Passive Investing
by David Puelz & Carlos M. Carvalho & P. Richard Hahn
- 1510.03223 Hedging with Temporary Price Impact
by Peter Bank & Mete Soner & Moritz Vo{ss}
Printed from https://ideas.repec.org/s/arx/papers112.html
